Check the "Rounded" box in the inspector in IB, or setBezelStyle:NSRoundedBezel (IIRC, check NSTextFieldCell.h to verify) at runtime.
Better yet, don't. Apple's HI recommendation as of Panther is that the generic rounded text field style is deprecated -- rounded text fields should always be search fields (preferably live-search-as-you-type), and NSSearchField provides that. (However, if you need to implement a custom search field control because you're deploying on 10.2, using the rounded text field is a good place to start.)